How do I tell slapd where to look for the DB_CONFIG file? Sorry for the
stupid question. I am having a hard time finding the documentation for
this.

You don't. It lives in the same directory as you specify as being the
location of the BDB database.

Just to clarify :)

If you have "directory /var/lib/openldap-data" in your slapd.conf, then that's
where DB_CONFIG should be. Also, many options do not take effect if you add
them *after* the database has been created. You should start with an empty
directory, place DB_CONFIG there and then load your data.